Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation

The article presents an application of least-squares Monte Carlo concept to calculation of Time Value of Options and Guarantees – Market Consistent Embedded Value component. Previously used in American-type options’ valuation, this method proved to be a very effective and time-saving tool. The paper summarizes analysis performed on the theoretical Open Pension Fund portfolio (based on Polish market average data).